To drill holes in glass bottles, acquire a drill bit that is specifically designed for use with glass and/or tile. It looks like a Gothic window, tapered toward a point at the end. Use caution when applying force to the drill, and be patient while drilling the hole.
When drilling into glass, avoid simply pushing the drill through the glass, as you might if you were drilling through masonry or wood. Instead, act like you're using the drill to chip away one fragment of glass at a time. This means that the drill bit will move extremely slowly, but this method also keeps you from breaking the glass. Eventually, the drill makes its way through the glass, and you have the desired hole.
Because of the length of time it can take for the drill to make a hole this way, putting the bottle in a clamp makes the hole more precise. Put a cloth between the surface of the clamp and the bottle to minimize the risk of cracks forming or the bottle breaking. Tighten the clamp until the bottle doesn't move, but do not overtighten.
Drilling a hole in a glass bottle lets you make such crafty ideas as a bottle full of lights, in which you feed a string of Christmas lights through the hole, leaving the wire and plug running out the hole.